Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era

Liew, Venus Khim-Sen and Ahmad Zubaidi, Baharumshah (2003) Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era. Pertanika Journal of Social Sciences & Humanities, 11 (1). pp. 33-40. ISSN 0128-7702

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Abstract

Five ASEAN currencies are investigated in an attempt to determine whether the post-crisis ASEAN exchange rates are more predictable by the US dollar or Japanese yen. Results suggest that prior to the 1997/1998 Financial Crisis, all exchange rates were better predicted by the US dollar as the base currency. The post-crisis Singapore exchange rate continues to be better predicted in US dollar. On the other hand, Japanese yen better predicted other post-crisis ASEAN exchange rates.

Item Type: Article
Uncontrolled Keywords: Exchange rate, depreciation, ARIMA, ARFIMA, forecasting, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 27 Nov 2017 07:15
Last Modified: 27 Nov 2017 07:15
URI: http://ir.unimas.my/id/eprint/18589

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